Implications of real-time data for forecasting and modeling expectations
This note extends the analysis in Stark and Croushore (2001) with an emphasis on the importance of data vintage for survey forecasts and modeling expectations. For both of these types of empirical exercises, results suggest that the choice of latest available or real-time data is critical for variables subject to large level revisions, but almost irrelevant for variables subject to only small revisions. Other forecasting practices were examined, with some surprising results.
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- Richard Clarida & Jordi Galí & Mark Gertler, 2000.
"Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory,"
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- Richard Clarida & Jordi Gali & Mark Gertler, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," NBER Working Papers 6442, National Bureau of Economic Research, Inc.
- Clarida, R. & Gali, J. & Gertler, M., 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and some Theory," Working Papers 98-01, C.V. Starr Center for Applied Economics, New York University.
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- Tom Stark & Dean Croushore, 2001. "Forecasting with a real-time data set for macroeconomists," Working Papers 01-10, Federal Reserve Bank of Philadelphia.
- Kozicki, Sharon & Tinsley, P A, 1998. "Moving Endpoints and the Internal Consistency of Agents' Ex Ante Forecasts," Computational Economics, Springer;Society for Computational Economics, vol. 11(1-2), pages 21-40, April.
- Sharon Kozicki & Peter A. Tinsley, 1996. "Moving endpoints and the internal consistency of agents' ex ante forecasts," Finance and Economics Discussion Series 96-47, Board of Governors of the Federal Reserve System (U.S.).
- Sharon Kozicki & Peter A. Tinsley, 1997. "Moving endpoints and the internal consistency of agents' ex ante forecasts," Research Working Paper 97-01, Federal Reserve Bank of Kansas City.
- James H. Stock & Mark W.Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
- James H. Stock & Mark W. Watson, 2001. "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc.
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